Time aggregation of Sharpe Ratio : a better extrapolation rule
Year of publication: |
2018
|
---|---|
Authors: | Bednarek, Ziemowit ; Patel, Pratish ; Ramezani, Cyrus A. |
Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 16.2018, 4, p. 47-63
|
Subject: | Sharpe Ratio | bootstrap | GMM | √T rule | Portfolio-Management | Portfolio selection | Momentenmethode | Method of moments | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Aggregation |
-
Testing for a threshold in models with endogenous regressors
Rothfelder, Mario, (2019)
-
An improved test for statistical arbitrage
Jarrow, Robert A., (2012)
-
Testing for optimal monetary policy via moment inequalities
Coroneo, Laura, (2013)
- More ...
-
Time aggregation of the Sharpe ratio
Bednarek, Ziemowit, (2016)
-
Moral hazard with the (unlikely) possibility of catastrophes
Bednarek, Ziemowit, (2014)
-
Moral Hazard with the (Unlikely) Possibility of Catastrophes
Bednarek, Ziemowit, (2016)
- More ...